This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it...

An additivity property of LM tests is derived, linking joint, marginal and Bera-Yoon `adjusted' tests, hence the latter can be derived as the difference of the first two. An artificial regression framework provides an intuitive geometrical illustration of the Bera-Yoon principle.

This paper proposes new simple testing procedures for the joint null hypothesis of absence of persistent e®ects in the form of random e®ects and ¯rst order serial correlation in the error component model. The fact that the presence of random effects is clearly of a one-sided nature, together...

This paper proposes simple tests to detect dynamic and random effects in linear panel data models, in the form of lagged dependent variables and random effects. We use the analytical framework of Bera and Yoon (1993) to derive tests for the presence of random effects, lagged dependent variables,...

This paper studies the role played by several financial and economic indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the “tequila effect”. Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and...

No abstract.

This paper derives unbalanced versions of the tests statistics for ¯rst order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the...

La pobreza y la desigualdad son problemas sociales centrales en América Latina. Este libro desarrolla las principales discusiones conceptuales sobre estos temas, provee un amplio conjunto de herramientas analíticas, las aplica a datos concretos de encuestas de hogares y ofrece evidencia para...